A BSDE approach to super-replication or quantile hedging with risk or portfolio constraint by Dr. Professor Romuald Elie

Event Date: 

Wednesday, October 1, 2014 - 3:00pm to 5:00pm

Event Date Details: 

Two-hour seminar, Refreshments served at 2:45 PM

Event Location: 

  • South Hall 5607F

Dr. Professor Romuald Elie (University of Paris Marne-la-Vallee)

Title: A BSDE approach to super-replication or quantile hedging with risk or portfolio constraint

Abstract: